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Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model

We present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or riskless r...

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Principais autores: W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2024-08-01
Serier:Risks
Fag:
dynamic asset pricing
Bachelier model
Black–Scholes–Merton model
option pricing
perpetual derivative
binomial model
Online adgang:https://www.mdpi.com/2227-9091/12/9/136
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